When I add new item into the list, I have to insert the items into the SQL database. How can I do it? Any clue is good for me.
Out of the head here, but can`t this be done if you add a database as a Data Source and set the Create All Operations on Table in BDC to work with the Database?
See also this tutorial.
Here is another tutorial explaining in detail how to connect to a Database. It should be pretty straightforward with this.
There is also a 3rd party tool called BDLC which I have used in the past. Very easy to set up and configure and basically allows you to create either a read-only or write-back synchronised list and database table.